Tracking a single remote branch as a local branch is straightforward enough.
$ git checkout --track -b ${branch_name} origin/${branch_name}
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The answer given by Otto is good, but all the created branches will have "origin/" as the start of the name. If you just want the last part (after the last /) to be your resulting branch names, use this:
for remote in `git branch -r | grep -v /HEAD`; do git checkout --track $remote ; done
It also has the benefit of not giving you any warnings about ambiguous refs.